VIX fly / spread journal

[NKVI>NH]

This maddens me when people refer to selling a calendar spread as buying the front/selling the back. Maybe sometime during this century we'll get everyone on the same page (selling == sell front/buy back).



I don't know about "literally a no brainer". Everyone sees the VIX trade and the last 2-3 weeks have been nothing but talking about how low the VIX is. I wanna see if everyone else gets blown out first, then I'll hop on.

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VIX is of course very low - but this isn't the lowest F3-F4 has been. If nothing significant happens in the next few months (it's definitely happened before) it's just going to end up painfully rolling down that steep curve.

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Where's the bid?

jgills is correct

he is shorting the spread..think of it this way

right now aug sept is 101ish...he wants the price to go down...hence short the spread, in order for the spread to flatten, he is going long aug, short sept

aug rises more than sept does...goes to 85, he makes great money

short the spread by selling it

 

[NKVI>NH]

I think the aug sep is literally a no brainer. Do u think otherwise? Does anyone out there? I want to hear the case from the other side so I can try to see what I'm missing.

sensible trade

a/s is the dip in the curve..better chance for it to flatten or hump

 

[Jgills]

Dolemite and i960, the only thing you've talked about is an outright long/short Vix future position. I have a spread on, not an outright future. Unless I have it wrong, your reasoning for not liking the August sep calendar is that people are complaining Vol is low? Why are you ruling out the spread going down with Vol levels going lower? I actually think that is how I end up making money, even though I would much prefer it being from a Vol up event, because there is much more money to make on that side of it.

 

[i960]

he is shorting the spread..think of it this way

right now aug sept is 101ish...he wants the price to go down...hence short the spread, in order for the spread to flatten, he is going long aug, short sept

This is some equity trader mumbo jumbo. Everyone trading spreads in every other futures based instrument quotes them as long == +front/-back, short == -front/+back. If I'm short the CL Z18/Z19 spread I am *short* Z18, long Z19. There is no way I am crazy about this.

Dolemite and i960, the only thing you've talked about is an outright long/short Vix future position. I have a spread on, not an outright future. Unless I have it wrong, your reasoning for not liking the August sep calendar is that people are complaining Vol is low? Why are you ruling out the spread going down with Vol levels going lower? I actually think that is how I end up making money, even though I would much prefer it being from a Vol up event, because there is much more money to make on that side of it.

No, I'm specifically talking about the Aug/Sep spread as in the exchange traded VX Q7-U7 spread. That's not outright, it's a spread. Now, I think you have me wrong here. I absolutely like a long (meaning benefits from FLATTENING) spread position in the mid/back part of the curve as an idea. My point was that the "VIX is super low!" "VIX is super low!" talk has been going on for a couple of weeks now in the popular finance related media - so just who do you think is going to be piling into VXX, VX longs, and the like only to get fucked over? Additionally, if QU is really a trade that's a no brainer, the market surely must be stupid as fuck right now because there's not really any sign of the market buying that spread right now based on price action alone.

I like the idea of the spread. I want to get long the spread. I want to see the market show it's hand first.

 

[rallymode]

This is some equity trader mumbo jumbo. Everyone trading spreads in every other futures based instrument quotes them as long == +front/-back, short == -front/+back. If I'm short the CL Z18/Z19 spread I am *short* Z18, long Z19. There is no way I am crazy about this.

The CFE direct feed for the natives has all spreads listed -front/+back so if you are bullish on vol you have to buy the near term i.e. sell the spread. Perhaps ask them to change it because it doesn't conform with your trader lingo

Plenty of mumbo jumbo swirling around in my head but I've always been under the impression that buying the near term is a bull spread not long. You are bullish on the price of the commodity as the near term moves faster.

 

[i960]

The CFE direct feed for the natives has all spreads listed -front/+back so if you are bullish on vol you have to buy the near term i.e. sell the spread. Perhaps ask them to change it because it doesn't conform with your trader lingo

You're absolutely right about this with regard to how CFE quotes the spreads directly as I just looked it up because I never use their quotes directly. My comment about "equity mumbo jumbo" was in regards to this spread quoting. It's also why @cdcaveman asked "-/+" because of the typical confusion when it comes to vol or equity index related spreads and FX spreads (which are also "reverse") vs pretty much everything else.

I guess from now on I'll make it exceedingly clear what I mean by "long" or "short" a spread when it comes to anything VX.

 

[rallymode]

equity index related spreads and FX spreads (which are also "reverse") vs pretty much everything else.

Interactive Brokers reverses everything else as well and quotes -/+. You have to sell the oil, metals, etc. spreads if you want to be long the near term. My guess is they want the contango expressed as a positive number.

 

[El OchoCinco]

I guess they simply borrowed the convention from option calendar spreads where a short calendar is +short term/-long term, that is the way I carried over the lingo but in the end as long as the order goes through as I want it with the right short/long legs, they can call it a Beyonce Spread

 

[newwurldmn]

I guess they simply borrowed the convention from option calendar spreads where a short calendar is +short term/-long term, that is the way I carried over the lingo but in the end as long as the order goes through as I want it with the right short/long legs, they can call it a Beyonce Spread

In options world, you sell if you receive premium and you buy if you pay it.

This applies to risk reversals, calendars, diagonals, whatever.

 

[El OchoCinco]

In options world, you sell if you receive premium and you buy if you pay it.

This applies to risk reversals, calendars, diagonals, whatever.

But if you sell a calendar in options you are long the front month which results in a net credit (selling longer term option) so we are saying the same thing I think and it carried over for some in the VX switches. I tend to say short the calendar when I am short the front/closer month. Either way it is just semantics as long as the order is entered correctly